A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series

A significant correlation between integrated time series does not necessarily imply a meaningful relation. The relation can also be meaningless, i.e. spurious. Cointegration is sometimes illustrated by the metaphor of ‘a drunk and her dog’. The relation between integrated processes is meaningful, if they are cointegrated. To prevent spurious correlations, integrated series are usually transformed. This implies a loss of information. In case of cointegration, these transformations are no longer necessary. Moreover, it can be shown that cointegration tests are instruments to detect spurious correlations between integrated time series. This paper compares the Dickey–Fuller and the Johansen cointegration test. By means of Monte Carlo simulations, we found that these cointegration tests are a much more accurate alternative for the identification of spurious relations compared to the rather imprecise method of utilizing the R ²-and DW-statistics recommended by some authors. Furthermore, we demonstrate that cointegration techniques are precise methods of distinguishing between spurious and meaningful relations even if the dependency between the processes is very low. Using these tests, the researcher is not in danger of either neglecting a small but meaningful relation or regarding a relation as meaningful which is actually spurious.     

Exportaktivitäten: Positiv für Rendite deutscher Industrieunternehmen?

Zusammenfassung   Zahlreiche Studien belegen, dass exportierende Unternehmen eine h?here Produktivit?t aufweisen als gleich gro?e nicht exportierende Unternehmen aus derselben Branche. Gleichzeitig zahlen Exporteure ihren Mitarbeitern bei identischer Qualifikation h?here L?hne, und sie müssen Extrakosten im Zusammenhang mit den Ausfuhren tragen. Lohnt sich Exportt?tigkeit „unter dem Strich“ – oder wird der Produktivit?tsvorsprung durch die h?heren Kosten ausgeglichen? Prof. Dr. Joachim Wagner, 53, leitet die Abteilung Empirische Wirtschaftsforschung im Institut für Volkswirtschaftslehre an der Leuphana Universit?t Lüneburg. Der Beitrag entstand im Rahmen des Projekts „Exporte und Produktivit?tsdynamik in nieders?chsischen Industriebetrieben“. Ich danke dem Nieders?chsischen Ministerium für Wissenschaft und Kultur für die finanzielle F?rderung aus dem Forschungs- und Berufungspool. Alle Berechnungen mit den vertraulichen Unternehmensdaten wurden im Forschungsdatenzentrum der Statistischen ?mter der L?nder in Berlin durchgeführt; ich danke Ramona Pohl für die Erstellung des Datensatzes, die Prüfung der umfangreichen Ergebnisausdrucke auf Geheimhaltungsfreiheit und die gewohnt reibungslose Kooperation.     

Behavioral research and empirical modeling of marketing channels: Implications for both fields and a call for future research

Game theoretic models of marketing channels typically rely on simplifying assumptions that, from a behavioral perspective, often appear naïve. However, behavioral researchers have produced such an abundance of behavioral regularities that they are impossible to incorporate into game theoretic models. We believe that a focus on three core findings would benefit both fields; these are: first, beliefs that are held by the various players regarding profit consequences of different actions are incomplete and often biased; second, players’ preferences and optimization objectives are not commonly known; and third, players have insufficient cognitive abilities to achieve optimization objectives. Embracing these three findings shifts the focus from rational decision making to how decision makers learn to improve their decision-making skills. Concluding, we believe that greater convergence of game theoretic modeling and behavioral research in marketing channels would lead to new insights for both fields.     

Die Zuschussrente: Eine falsche Therapie bei richtiger Diagnosestellung

Das Bundessozialministerium hat zur Abwendung einer prognostizierten Altersarmut die Zuschussrente vorgeschlagen. Dieses Instrument soll Beziehern von Niedrigeinkommen Anreize geben, eine rentenversicherungspfl ichtige Besch?ftigung zu suchen. Sie sollen gleichzeitig davor bewahrt werden, im Alter auf Fürsorgeleistungen angewiesen zu sein, wenn ihre Rentenansprüche zu gering sind. Die Autoren fürchten, dass mit der Zuschussrente Fehlanreize verbunden sind. Sie halten die Ausgestaltung des Systems darüber hinaus für zu kompliziert und schlagen daher eine Freibetragsl?sung vor.     

International trade and firm performance: a survey of empirical studies since 2006

The literature on international trade and firm performance grows exponentially. This paper attempts to summarize what we learn from this literature to guide future empirical and theoretical work in this area. The focus is on the empirical part of the literature that consists of recently published papers using data for firms from manufacturing or services industries to study the links between international trade (exports and imports) and dimensions of firm performance (productivity, wages, profitability and survival).